Abstract
This study aims to model the characteristics of volatility of the exchange rate of the Chinese Yuan, based on the daily data of CNY and CNH over the period from August 23, 2010 to September 10, 2013, in the backdrop of RMB internationalization. By introducing both symmetric and asymmetric models of the generalized autoregressive conditional heteroscedastic (GARCH) family, we use the daily data to estimate the parameters of each model. Finally, the paper assesses these two models by concluding that these two models can capture most characteristics of the exchange rate volatility and both are adequate to model the exchange rate volatility series.
| Original language | English |
|---|---|
| Title of host publication | Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 |
| Publisher | IEEE |
| Pages | 295-299 |
| ISBN (Print) | 9781479947775 |
| DOIs | |
| Publication status | Published - Nov 2013 |
| Event | 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 - Hangzhou, Zhejiang, China Duration: 14 Nov 2013 → 16 Nov 2013 |
Conference
| Conference | 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 |
|---|---|
| Place | China |
| City | Hangzhou, Zhejiang |
| Period | 14/11/13 → 16/11/13 |
Research Keywords
- Foreign exchange rate
- GARCH
- Volatility modeling
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